Processes orderbook from files, creates the liquidity telemetry plot and (optionally) prints statistics.

Return index series corresponding to liquidity dropout point events for bids and asks.

Draw and save plot from preprocessed data. :param plot_data: Data structure processed by __name__.prep_data :param plot_params_dict: dict ho

Produce a plot with three subplots: 1. Mid-price over time. 2. Liquidity dropout events over time 3. Transacted volume

Saves the fundamental value at self.currentTime to self.fundamental_series.

Removes outliers for mid-price induced by no liquidity.

Create a beta schedule that discretizes the given alpha_t_bar function, which defines the cumulative product of (1-beta) over time from t = [

Constructs the required input for np.bar to produce a histogram plot of the output provided from __name__.bin_and_sum :param counted

The market order is created as multiple limit orders crossing the spread walking the book until all the quantities are matched.

Make aggregated mid-price and liquidity plots. :param aggregated: output of __name__.aggregate_orderbook_stats :param plot_params_di

Draw plots of aggregated data. :param aggregated_data: output of __name__.aggregate_data :param params: output of __name__.generate_plot_dat

Plots histogram of the interarrival times for symbols.

Plots intraday order volume over a day for multiple symbols.

Compute precision and recall for given subject reference should be precomputed by IPR.compute_manifold_ref() args:

Helper method for prep_data. Formats date string in correct for compute_impact_statistics method

Print statistics about liquidity to STDERR.

Make end time of POV order sensible, i.e. if a time is given leave it alone; else, add 24 hours to start.

Writes ABIDES stream data into pandas DataFrame required by plotting programs.

Prints grid to standard error.

Method takes row of unstacked orderbook log and processes into a dictionary representing a row of the LOBSTER- ised DataFrame.

Handles the QUERY_TRANSACTED_VOLUME messages from the exchange agent

Action taken when agent receives a message from the exchange -- action here is for agent to update internal log of most recently observed

Reorders column list to coincide with columns of LOBSTER csv file format.

Importance-sample timesteps for a batch. :param batch_size: the number of timesteps. :param device: the torch device to save

Saves orderbook data from ABIDES in LOBSTER format. :param orderbook_bz2: file path of order book bz2 output file. :type orderbook_b

Saves ABIDES logged order stream into csv in requested format. :param stream_bz2: file path of Exchange Agent bz2 output file. :type

Save order book mid price, computed from ABIDES orderbook log.

Sets matplotlib variables for plotting.

Sets matplotlib variables for plotting.

Numerically stable sigmoid function. Adapted from https://timvieira.github.io/blog/post/2014/02/11/exp-normalize-trick/"

Create sinusoidal timestep embeddings. :param t: (N) Tensor of N indices, one per batch element. These may